Volatility Transmission from Global Crude Oil Markets to Indian Automobile Sector Equity Returns: A Time-Varying Spillover Analysis Using GARCH Family Models

Global crude oil price fluctuations are a pivotal force in shaping the financial performance of energy-dependent industries, particularly in economies with a high import reliance on oil such as India. The automobile sector — inherently sensitive to fuel costs — faces varying degrees of operational risk and investor sentiment shifts as crude oil prices surge or decline. This study investigates the dynamic relationship between global crude oil price movements and the equity returns and volatility of the Indian automobile sector, including the Nifty Auto Index and top-listed automobile companies on Indian exchanges. Using daily data spanning the last decade, this research applies regression analysis to quantify the impact of crude oil return changes on automobile sector stock returns. Additionally, GARCH family models are employed to assess volatility spillovers and time-varying conditional correlations. The findings reveal how global oil shocks influence return patterns and risk transmission in Indian automobile stocks across different market regimes, offering valuable insights for investors, policymakers and strategists focused on risk management and portfolio diversification. Comparative references to global literature further contextualize the distinct behavior within the Indian market. The results highlight significant spillovers from crude oil market volatility into automobile equity returns, indicating asymmetric risk exposures and conditional market dependencies that evolve over time.